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Review of local and global existence results for stochastic pdes with Lévy noise

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The authors are supported by NSF grant DMS-1510249

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  • This article is a review of Lévy processes, stochastic integration and existence results for stochastic differential equations and stochastic partial differential equations driven by Lévy noise. An abstract PDE of the typical type encountered in fluid mechanics is considered in a stochastic setting driven by a general Lévy noise. Existence and uniqueness of a local pathwise solution is established as a demonstration of general techniques in the area.

    Mathematics Subject Classification: Primary:35R60, 60H15;Secondary:60G51, 60H10.

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